I am posting this chiefly so that other people with the same problem can find the easy solution here:
HTC Hero mobile phone offers custom ringtones. It lets you use any MP3 file anywhere on your memory card as a ringtone (you don't have to install any special software).
However, this is not the case with alert tones (the sounds that sound when calendar alert is triggered). The phone only offers some short predefined wimpy sounds which definitely cannot wake me up.
I tried installing "Rings Extended" (an app which provides extended ringtone functionality for other Android phones) but it didn't work on HTC Hero.
However, the solution is really simple!
Just create a directory called /media/audio/notifications/ on your memory card and put your MP3s in it (and maybe restart the phone). After that, the sounds in this directory will be automatically offered to you when choosing notification sounds (I am using this one).